Spread hazelnut spread on 2 slices of bread. Spread cream cheese on other 2 slices of bread. Press together 1 of each, filling sides together, making 2 sandwiches.
In shallow bowl, beat egg, milk, sugar, vanilla and cinnamon with fork or whisk until well mixed. Crush cereal; place in another shallow dish.
Heat waffle maker; grease with vegetable oil or shortening. Dip both sides of 1 sandwich in egg mixture. Dip both sides in crushed cereal, patting gently to coat; place on waffle maker. Close lid of waffle maker. Bake 2 to 4 minutes or until browned. Carefully remove waffle sandwich. Repeat with remaining sandwich. Cut sandwiches into triangles, and serve.